Escargot Pudding. It wasn't a real name, but still funny.
Winner Sinclair. It takes a cocky set of parents to name their kid Winner.
Roy Mustang. Sounds almost like the name of a porn star, doesn't it? Or a Ford dealer.
Evangeline Anastasia Katerine McDowell and Asuna Vesperina Theotanasia Enteofushia. Wow.
Boogie-kun.

Least favorite: James Links. What the hell kind of anime name is that!?